1 citations · 1 across the 2 of their papers we have counts for
8 papers
Ruin theory incorporating MIPP-type jumps
Dongdong Hu, Hasanjan Sayit
The paper investigates the ruin probability of an insurer's surplus process when claims follow a Multiply Iterated Poisson Process (MIPP). This setting extends the classical Cramer…
Beyond Lognormal Sums: A Four-Moment Probability Framework for Basket and Spread Option Pricing
Dongdong Hu, Hasanjan Sayit, Steve Tchoneteck +1
Basket options are difficult to value under correlated lognormal dynamics because weighted sums and differences of lognormal variables have no tractable distribution. This paper de…
Efficient frontiers for portfolios under SSD and law-invariant risk measures with hyperbolic return distributions
Hasanjan Sayit
In the classical Markowitz mean variance framework, risk is measured by variance, and the portfolios on the efficient frontier can be derived in closed form using standard optimiza…
Two-fund separation under hyperbolically distributed returns and concave utility functions
Nuerxiati Abudurexiti, Erhan Bayraktar, Takaki Hayashi +1
Portfolio selection problems that optimize expected utility are usually difficult to solve. If the number of assets in the portfolio is large, such expected utility maximization pr…
Exponential utility maximization in small/large financial markets
Miklós Rásonyi, Hasanjan Sayit
Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note,…
On certain integral functionals of integer-valued subordinators
Dongdong Hu, Hasanjan Sayit, Weixuan Xia
It is known that the exponential functional of a Poisson process admits a probability density function in the form of an infinite series. In this paper, we obtain an explicit expre…